Dropping a cross section at a time

sazad — Wed, 28 Mar 2018 02:00:26 GMT

Hi there,

I am trying to check for random cross section effects by dropping a cross section at a time as done in Engle and Rangel (2008): Table 9.

Do I use the proc mixed to make the period fixed and country random or just use the proc panel with ranone? Also, I don't know how Engle and Rangel (2008) found autocorrelation coefficient in Table 9 for panel specification.

Could anyone help, please?

proc mixed data = mydata;

class country year;

model my model year/ solution;

random country;

run;

proc panel data = mydata;

id country year;

model my model/HAC ranone;

run;

Thanks,

Sohel

Reference:

Engle, R.F. and Rangel, J.G., 2008. The spline-GARCH model for low-frequency volatility and its global macroeconomic causes. The Review of Financial Studies, 21(3), pp.1187-1222.

Re: Dropping a cross section at a time

mkeintz — Sun, 27 May 2018 22:26:55 GMT

I'm not familiar with proc panel or proc mixed. BUT ...

... I don't see why YEAR is a class variable, which makes it no different than, say color. Shouldn't you allow year to be a continuous variable? Which I believe is the only way to get autocorrelation (assuming you - and Engle and Rangel - mean serial autocorrelation).

topic Re: Dropping a cross section at a time in SAS Procedures

Dropping a cross section at a time

Re: Dropping a cross section at a time